How to model this particular screw?
I don't know if you could do it properly with the Screw modifier, anyway, when you are in Edit mode, there's a Screw tool available on the T menu that works perfectly:

Draw your profile, keep in mind that the origin point will be the centre of the rotation and that the angle between the top and the bottom vertices will determine the slope of the screw. Stay in an orthogonal view so that Blender knows how it has to rotate, then click on Screw and play with the parameters on the bottom of the N menu.

In 2.8 it looks like you need to find the tool by the search menu (F3), and the parameters are in the Operator box (bottom left of your 3D view).